Die vorliegende Arbeit trägt zu der Preisfindung von Markt und Bilanz ausgelöstem Contingent Convertible Capital bei. Durch die Evaluation vier ausgewählter Preismodelle in einem theoretischen und empirischen Kontext werden die Grundlagen zu einem allgemein akzeptierten Preisfindungsansatz in...

This article provides an in-depth analysis of pricing and structuring of contingent convertibles (CoCos). These debt instruments convert into the equity of the issuing bank or suffer a write-down of the face value upon the appearance of a trigger event. This trigger mechanism provides an...

This paper derives the formulae for calculating the tilted annuity for which the net present value of the post-tax cash flows over the life of the asset is equal to the initial investment. The tilted annuity differs from a constant annuity in that it increases or decreases over the life of the...

This study estimates the parameters of credit derivatives, equity derivatives and structural models for bank recapitalisation in Nigeria by employing contingent convertibles (CoCos) and using the Nigeria Treasury Bill rate for 2009 as the risk-free rate, estimated recapitalisation requirements...